Details about Helena Veiga

Access statistics for papers by Helena Veiga.

Last updated 2025-03-16. Update your information in the RePEc Author Service.

Short-id: pve141

Working Papers

2023

1. Investigating the impact of consumption distribution on CRRA estimation: QuantileCCAPM-based approach
   Working Papers, University of Liverpool, Department of Economics

2022

2. An experimental analysis of contagion in financial markets
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (2)

2021

3. Integrated nested Laplace approximations for threshold stochastic volatility models
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
   See also Journal Article Integrated nested Laplace approximations for threshold stochastic volatility models, Econometrics and Statistics, Elsevier (2024) (2024)

2020

4. Adaptative predictability of stock market returns
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
5. Valuation in the energy sector: Fundamentals or bubbles?
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística

2019

6. Data cloning estimation for asymmetric stochastic volatility models
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
   See also Journal Article Data cloning estimation for asymmetric stochastic volatility models, Econometric Reviews, Taylor & Francis Journals (2020) View citations (4) (2020)
7. Exploring option pricing and hedging via volatility asymmetry
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
   See also Journal Article Exploring Option Pricing and Hedging via Volatility Asymmetry, Computational Economics, Springer (2021) (2021)

2018

8. Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)

2017

9. A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities
   Working Papers, University of California at Riverside, Department of Economics View citations (1)
   See also Journal Article A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities, Econometric Reviews, Taylor & Francis Journals (2020) View citations (1) (2020)
10. Modeling and forecasting the oil volatility index
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article Modeling and forecasting the oil volatility index, Journal of Forecasting, John Wiley & Sons, Ltd. (2019) View citations (5) (2019)

2016

11. A Bootstrap Approach for Generalized Autocontour Testing
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
12. Efficiency evaluation of Spanish hotel chains
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística

2015

13. An analysis of the dynamics of efficiency of mutual funds
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
14. Model uncertainty and the forecast accuracy of ARMA models: A survey
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística

2014

15. Outliers in multivariate Garch models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (2)

2013

16. Correlations between oil and stock markets: a wavelet-based approach
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (4)
    See also Journal Article Correlations between oil and stock markets: A wavelet-based approach, Economic Modelling, Elsevier (2015) View citations (52) (2015)
17. Predictability of stock market activity using Google search queries
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (9)

2012

18. Asymmetric long-run effects in the oil industry
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
19. Bayesian Estimation of Inefficiency Heterogeneity in Stochastic Frontier Models
    Efficiency Series Papers, University of Oviedo, Department of Economics, Oviedo Efficiency Group (OEG) View citations (1)
    See also Journal Article Bayesian estimation of inefficiency heterogeneity in stochastic frontier models, Journal of Productivity Analysis, Springer (2014) View citations (20) (2014)

2011

20. Forecasting volatility: does continuous time do better than discrete time?
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística

2010

21. Asymmetric effects of oil price fluctuations in international stock markets
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (3)
22. Outliers in Garch models and the estimation of risk measures
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística

2009

23. Risk factors in oil and gas industry returns: international evidence
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
    See also Journal Article Risk factors in oil and gas industry returns: International evidence, Energy Economics, Elsevier (2011) View citations (79) (2011)
24. Wavelet-based detection of outliers in volatility models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (3)

2008

25. Aggregation and Dissemination of Information in Experimental Asset Markets in the Presence of a Manipulator
    Working Papers, FEDEA
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2008)
26. The Effect of Short–Selling on the Aggregation of Information in an Experimental Asset Market
    Working Papers, FEDEA View citations (4)
    Also in DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística (2008) View citations (5)

2007

27. The effect of realised volatility on stock returns risk estimates
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (2)
28. The sign of asymmetry and the Taylor Effect in stochastic volatility models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
29. Volatility modelling and accurate minimun capital risk requirements: a comparison among several approaches
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)

2006

30. A two factor long memory stochastic volatility model
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)
31. Are feedback factors important in modelling financial data?
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article Are Feedback Factors Important in Modeling Financial Data?, International Review of Finance, International Review of Finance Ltd. (2007) (2007)
32. Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (7)
    See also Journal Article Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH, Computational Statistics & Data Analysis, Elsevier (2008) View citations (32) (2008)
33. Price manipulation in an experimental asset market
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (3)
    See also Journal Article Price manipulation in an experimental asset market, European Economic Review, Elsevier (2009) View citations (15) (2009)
34. Volatility forecasts: a continuous time model versus discrete time models
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística

2005

35. Parametric and semiparametric estimation of sample selection models: an empirical application to the female labour force in Portugal
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) View citations (1)

2003

36. Are One Factor Logarithmic Volatility Models Useful to Fit the Features of Financial Data? An Application to Microsoft Data
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)
37. Forecasting Volatility Using A Continuous Time Model
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)

Journal Articles

2024

1. Editors’ note
   Portuguese Economic Journal, 2024, 23, (1), 1-2
2. Integrated nested Laplace approximations for threshold stochastic volatility models
   Econometrics and Statistics, 2024, 30, (C), 15-35
   See also Working Paper Integrated nested Laplace approximations for threshold stochastic volatility models, DES - Working Papers. Statistics and Econometrics. WS (2021) View citations (1) (2021)

2021

3. Exploring Option Pricing and Hedging via Volatility Asymmetry
   Computational Economics, 2021, 57, (4), 1015-1039
   See also Working Paper Exploring option pricing and hedging via volatility asymmetry, DES - Working Papers. Statistics and Econometrics. WS (2019) (2019)

2020

4. A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities
   Econometric Reviews, 2020, 39, (10), 971-990 View citations (1)
   See also Working Paper A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities, Working Papers (2017) View citations (1) (2017)
5. Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation
   Econometrics and Statistics, 2020, 13, (C), 84-105 View citations (6)
6. Data cloning estimation for asymmetric stochastic volatility models
   Econometric Reviews, 2020, 39, (10), 1057-1074 View citations (4)
   See also Working Paper Data cloning estimation for asymmetric stochastic volatility models, DES - Working Papers. Statistics and Econometrics. WS (2019) (2019)
7. Limited attention, salience of information and stock market activity
   Economic Modelling, 2020, 87, (C), 92-108 View citations (8)

2019

8. Efficiency evaluation of hotel chains: a Spanish case study
   SERIEs: Journal of the Spanish Economic Association, 2019, 10, (2), 115-139 View citations (3)
9. Modeling and forecasting the oil volatility index
   Journal of Forecasting, 2019, 38, (8), 773-787 View citations (5)
   See also Working Paper Modeling and forecasting the oil volatility index, DES - Working Papers. Statistics and Econometrics. WS (2017) (2017)

2018

10. UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES
    Journal of Economic Surveys, 2018, 32, (2), 388-419 View citations (1)

2017

11. Threshold stochastic volatility: Properties and forecasting
    International Journal of Forecasting, 2017, 33, (4), 1105-1123 View citations (6)

2015

12. Correlations between oil and stock markets: A wavelet-based approach
    Economic Modelling, 2015, 50, (C), 212-227 View citations (52)
    See also Working Paper Correlations between oil and stock markets: a wavelet-based approach, DES - Working Papers. Statistics and Econometrics. WS (2013) View citations (4) (2013)
13. Dynamic effects in inefficiency: Evidence from the Colombian banking sector
    European Journal of Operational Research, 2015, 240, (2), 562-571 View citations (38)

2014

14. Bayesian estimation of inefficiency heterogeneity in stochastic frontier models
    Journal of Productivity Analysis, 2014, 42, (1), 85-101 View citations (20)
    See also Working Paper Bayesian Estimation of Inefficiency Heterogeneity in Stochastic Frontier Models, Efficiency Series Papers (2012) View citations (1) (2012)

2013

15. Oil price asymmetric effects: Answering the puzzle in international stock markets
    Energy Economics, 2013, 38, (C), 136-145 View citations (60)

2012

16. Asymmetry, realised volatility and stock return risk estimates
    Portuguese Economic Journal, 2012, 11, (2), 147-164 View citations (1)

2011

17. Risk factors in oil and gas industry returns: International evidence
    Energy Economics, 2011, 33, (3), 525-542 View citations (79)
    See also Working Paper Risk factors in oil and gas industry returns: international evidence, DES - Working Papers. Statistics and Econometrics. WS (2009) View citations (1) (2009)

2010

18. Information aggregation in experimental asset markets in the presence of a manipulator
    Experimental Economics, 2010, 13, (4), 379-398 View citations (33)
19. Wavelet-based detection of outliers in financial time series
    Computational Statistics & Data Analysis, 2010, 54, (11), 2580-2593 View citations (16)

2009

20. A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect
    Computational Statistics & Data Analysis, 2009, 53, (10), 3593-3600 View citations (9)
21. Financial Stylized Facts and the Taylor-Effect in Stochastic Volatility Models
    Economics Bulletin, 2009, 29, (1), 265-276 View citations (4)
22. Price manipulation in an experimental asset market
    European Economic Review, 2009, 53, (3), 327-342 View citations (15)
    See also Working Paper Price manipulation in an experimental asset market, Research Memorandum (2006) View citations (3) (2006)

2008

23. Accurate minimum capital risk requirements: A comparison of several approaches
    Journal of Banking & Finance, 2008, 32, (11), 2482-2492 View citations (13)
24. Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
    Computational Statistics & Data Analysis, 2008, 52, (6), 2846-2862 View citations (32)
    See also Working Paper Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH, DES - Working Papers. Statistics and Econometrics. WS (2006) View citations (7) (2006)

2007

25. Are Feedback Factors Important in Modeling Financial Data?
    International Review of Finance, 2007, 7, (3‐4), 105-118
    See also Working Paper Are feedback factors important in modelling financial data?, DES - Working Papers. Statistics and Econometrics. WS (2006) (2006)